8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
1/13
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
2/13
Zalapea V+D+Bidazu: Idu}xeak Vxgfl Oaplix Innefeikfu: Ak Ekexeac ]y`cef Gnnipekd ]ipv}ifxe~i# ]b+H+
xbivev# Vxpaxbfcuhi Yke~ipvexu# Y+L+#1552
192
8+8+0 FGEKXIDPAXEGK OIXBGHGCGDUDikipaccu# en V1# V0# V6#+++# Vl ev a vix gn }pefi ekhefiv# tbefb ti api ekxipivxih
ek# akh iafb gn xbivi ekhefiv evE"1%# ex oyvx `i nepvx/hennipikfih xg ekhyfi vxaxegkapexu+
En xbipi irevxv a cekiap fgo`ekaxegkv gn xtg gp ogpi E"1% vipeiv# xbik xbi vipeiv api
fgekxidpaxih+ NgpK E"1% vipeiv ex ev }gvve`ci ngp xbipi xg `i y} xg K/1 vxaxegkapu cekiap
fgo`ekaxegk gp fgekxidpaxekd ~ifxgpv+ En xbipi ev a fgekxidpaxekd picaxegkvbe} aogkd a
~ifxgp gn ~apea`civ xbik xbev eooiheaxicu eo}ceiv xbax xbipi oyvx irevx ak ippgp
fgppifxegk pi}pivikxaxegk tbefb ev hinekih `u OafHgkach akh ]gtip "1556%# av:
" %1 1 C R Z yx x x "8+0>%
tbipi R ev akK1 ~ifxgp gnE"1% ~apea`civ# Z pi}pivikxv xbi ippgp fgppifxegk xipo# C
hikgxiv xbi cad g}ipaxgp akh y hikgxiv a ~ifxgp gn pivehyacv+ Ngp a v}ifycaxe~i oaplix
texb fgkvxakx ir}ifxih iqyece`peyo pixypkv# iqyaxegk "8+0>% pi}pivikxv a fciap
~egcaxegk gn oaplix innefeikfu vekfi ekngpoaxegk ek }avx }pefiv fgych ba~i `iik yvih
xg eo}pg~i xbi ngpifavxv gn xbi fyppikx }pefiv+ Xbipingpi# a nekhekd xbax fgekxidpaxegk
irevxv aogkd vxgfl }pefiv ev vxpgkd i~ehikfi gn vxaxef ekinnefeikfu \vii OafHgkach
akh ]gtip "1556%_+
Ek gphip xg xivx ngp fgekxidpaxegk# ti io}cgu xtg xifbkeqyiv+ Xbi nepvx ev xbi
xtg/vxi} pidpivvegk `avih xifbkeqyi }pg}gvih `u Ikdci akh Dpakdip "1524%+ Yvekd
xbev xifbkeqyi# ti io}cgu GCV xg ivxeoaxi a fgekxidpaxekd pidpivvegk ngp xbi
}gxikxeaccu fgekxidpaxekd vix+ Xbik# xbi vxaxegkapexu gn xbi pivehyacv npgo xbev
fgekxidpaxekd pidpivvegk ev iraoekih yvekd Hyp`ek Taxvgk# Hefliu Nyccip akh
Aydoikxih Hefliu Nyccip vxaxevxefv "vekfi xbi hevxpe`yxegkv gn xbivi vxaxevxefv api kgk/
vxakhaph# ti yxecezi vxaxevxefv xa`ycaxih `u Ikdci akh Dpakdip%+
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
3/13
Zalapea V+D+Bidazu: Idu}xeak Vxgfl Oaplix Innefeikfu: Ak Ekexeac ]y`cef Gnnipekd ]ipv}ifxe~i# ]b+H+
xbivev# Vxpaxbfcuhi Yke~ipvexu# Y+L+#1552
195
Ek v}exi gn exv ekbipikx veo}cefexu akh xbi }gxikxeaccu }gtipnyc pivycxv ex gnnipv#
ex bav `iik apdyih xbax xbi Ikdci/Dpakdip xtg/vxi} }pgfihypi vynnipv npgo a kyo`ip
gn hinefeikfeiv+ OafHgkach akh ]gtip "1556%# ngp irao}ci# fcapenu xbax# xbi yvi gn
GCV xg ivxeoaxi a fgekxidpaxegk picaxegkvbe} ngp ak Kheoikvegkih ~ifxgp hgiv kgx
fcapenu tbixbip gki ev hiacekd texb a ykeqyi fgekxidpaxekd ~ifxgp gp veo}cu a
fgo}cir cekiap fgo`ekaxegk gn acc xbi hevxekfx fgekxidpaxekd ~ifxgpv tbefb irevx
texbek xbi vuvxio+ Nypxbipogpi# xbiu oikxegk xbax xbi xifbkeqyi naecv xg fa}xypi xbi
ykhipcuekd xeoi vipeiv }pg}ipxeiv gn xbi haxa akh exv xivx }pgfihypiv hg kgx ba~i ticc
hinekih ceoexekd hevxpe`yxegk+
Ak acxipkaxe~i fgekxidpaxekd xifbkeqyi tbefb hiacv texb acc gn xbi hinefeikfeiv
gn xbi Ikdci/Dpakdip xtg/vxi} }pgfihypi# ev xbi Jgbakvik oycxe~apeaxi xifbkeqyi+ Ek
}apxefycap# xbi caxxip }pg~ehiv ivxeoaxiv gn acc xbi fgekxidpaxekd ~ifxgpv xbax irevx
texbek a ~ifxgp gn ~apea`civ# nyccu fa}xypiv xbi ykhipcuekd xeoi vipeiv }pg}ipxeiv gn
xbi haxa# akh gnnipv a xivx vxaxevxef ngp xbi kyo`ip gn fgekxidpaxekd ~ifxgpv texb ak
irafx ceoexekd hevxpe`yxegk+ Xbev xivx oau# xbipingpi# `i ~eitih av ogpi hevfipkekd ek
exv a`ecexu xg pijifx a nacvi kycc bu}gxbivev+
Ti kgt }pivikx a `pein hevfyvvegk# }pg~ehih `u OafHgkach akh ]gtip
"1556%# gn xbi Jgbakvik xifbkeqyi+ Ek xbiep ir}cakaxegk# xbiu fgkvehip ak K1 ~ifxgp
gn E"1% ~apea`civ ? R ?|v1# v
0# v
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k# tbipi xbi vv hikgxi vbapi }pefiv gn xbi k
ekhiriv# xbax ngccgt ayxgpidpivve~i }pgfivv texb Dayvveak ippgpv:
R R R R f i
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1 0
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tbipi ix# ev akK1 ~ifxgp texb zipg oiak akh ~apeakfi oaxper A akh f ev a fgkvxakx+
Xbi fgekxidpaxekd ~ifxgpv ngp xbi }pgfivv ek iqyaxegk "8+04% oau `i vxaxih av:
E l 1 0 +++ "8+02%
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
4/13
Zalapea V+D+Bidazu: Idu}xeak Vxgfl Oaplix Innefeikfu: Ak Ekexeac ]y`cef Gnnipekd ]ipv}ifxe~i# ]b+H+
xbivev# Vxpaxbfcuhi Yke~ipvexu# Y+L+#1552
1>=
tbipi ev ak K K oaxper tbgvi pakl hixipoekiv xbi kyo`ip gn hevxekfx
fgekxidpaxekd ~ifxgpv `ixtiik xbi ~apea`civ ek R+ En R ev E"1% xbik xbi pakl gn xbi
oyvx `i K/1+ Hineki xtgKpoaxpefiv# akh # vyfb xbax:
? + "8+05%
xbi pgtv gn ngpo xbi phevxekfx fgekxidpaxekd ~ifxgpv vyfb xbax# en e
xbi exb pgt gn
:
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vxaxevxefCP1 ngp xbi bu}gxbivev xbax xbipi api ax ogvx pfgekxidpaxekd ~ifxgpv av:
CP X ee p
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pivehyacv gnRx/l akh Rx# fgppifxih ngp xbi innifx gn xbi caddih hennipikfiv gn xbi R
}pgfivv \ngp hixaecv gn bgt xg irxpafx xbi v vii Jgbakvik "1522%_+ Ahhexegkaccu# xbi
celicebggh paxeg vxaxevxef ngp xivxekd ax ogvx p fgekxidpaxekd ~ifxgpv adaekvx xbi
acxipkaxe~i gnp, 1 fgekxidpaxekd ~ifxgpv# xbi /Oar xivxv# ev de~ik `u "8+61%:
CP X p0 11 ck" % "8+61%
Vekfi iqyaxegkv "8+61% akh "8+61% tecc ba~i a kgk/vxakhaph hevxpe`yxegk ykhip xbi
kycc bu}gxbivev# Jgbakvik }pg~ehiv a}}pgreoaxi fpexefac ~acyiv ngp xbi vxaxevxef#
dikipaxih `u Ogkxi Fapcg oixbghv# ngp ^AP vuvxiov texb y} xg ne~i ~apea`civ+ Xbi
oajgp axxpafxegk gn xbev oixbghgcgdu ev xbax ex accgtv facfycaxegk gn accKiedik~acyiv
akh iedik/~ifxgpv veoycxakigyvcu akh gki fak acvg eknip xbi kyo`ip gn vedkenefakx
fgekxidpaxegk picaxegkv `u xivxekd bgt oaku gn xbi v api zipg \vii Jgbakvik "1522%
akh Jgbakvik akh Jyviceyv "1525% ngp nypxbip hixaecv_+
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
5/13
Zalapea V+D+Bidazu: Idu}xeak Vxgfl Oaplix Innefeikfu: Ak Ekexeac ]y`cef Gnnipekd ]ipv}ifxe~i# ]b+H+
xbivev# Vxpaxbfcuhi Yke~ipvexu# Y+L+#1552
1>1
8+8+6 FGEKXIDPAXEGK PIVYCXVNgccgtekd xbi fgekxidpaxegk oixbghgcgdu hinekih a`g~i# ti vxapx texb
pihyfekd xbi kyo`ipv gn vxgfbavxef xpikhv aogkd gyp vbapi }pefi ekhefiv xbpgydb
fbiflekd xbi gphipv gn ekxidpaxegk gn gyp ekhe~ehyac vbapi }pefi ekhefiv paxbip xbak
pixypk ekhefiv+ Affgphekdcu# ti ngccgt xbi vxpaxidu gyxcekih ek Nedypi 8+8 gn
fgkvxpyfxekd a kyo`ip gn vxaxevxefv ngp iafb vbapi }pefi xeoi vipeiv gn gyp vao}ci#
xbyv ti ivxeoaxi
V x V V ix x x ee
e q
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11
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hennipikfi gn Vx# tipi piqyepih+ Ceki "ee% ngp iafb ekhir ek Xa`ci 8+18 pi}gpxv#
xbipingpi# xbi pivycxv gn xbi AHN "8+19+6% pidpivvegk+ A ~apea`ci hicixegk xivx
"eo}gvekd zipg fginnefeikxv gk Vx/1 akh xbi xeoi xpikh% de~iv a fgo}yxih ~acyi ngp
6+ Xa`ci ^E ek Hefliu akh Nyccip "1521% vbgtv xbi fpexefac ~acyi ngp ogpi xbak 9==
g`vip~axegkv "ti afxyaccu yvi 491% xg `i >+09+ Xbi g~iptbicoekd eo}pivvegk xg
ioipdi npgo xbev xa`ci ev xbax xbi ~avx oajgpexu gn gyp vxgfl }pefi ekhefiv fgkxaekv a
ykex pggx+ Xbipi ev gkcu gki ekvxakfi gyx gn a }gxikxeac 11 ekhefiv tbipi xbi
bu}gxbivev gn a vxgfbavxef ykex pggx oau `i pijifxih< xbi 6 vxaxevxef ngp V4ax 18+09 ev
oyfb bedbip xbak xbi ne~i }ipfikx fpexefac ~acyi+
Hyi xg xbev hifevegk# ti og~i xg akacuzi xbi facfycaxih x/vxaxevxef gn xbi
fginnefeikx gn Zx/1+ Xbi pi}gpxih pivycxv piekngpfi gyp eknipikfi xbax xbi vipeiv fgkxaekv
a ykex pggx# xbi fpexefac ~acyi gn /6+81 "g`xaekih npgo Nyccip# Xa`ci 2+9+0% ev bedbip
xbak iafb pi}gpxih ~acyi pivycxv irfi}x ngp V4# tbipi xbi pi}gpxih x6 ev 9+65+
Ek gphip xg avfipxaek tbixbip a hpenx fgo}gkikx ev }pivikx# xbi ~acyi gn xbi 0
vxaxevxef ev g`xaekih+ Av xbi fgo}yxih N vxaxevxefv api `icgt xbi xa`ycaxih ~acyi gn
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
6/13
Zalapea V+D+Bidazu: Idu}xeak Vxgfl Oaplix Innefeikfu: Ak Ekexeac ]y`cef Gnnipekd ]ipv}ifxe~i# ]b+H+
xbivev# Vxpaxbfcuhi Yke~ipvexu# Y+L+#1552
1>0
8+>2 "g`xaekih npgo Xa`ci ^ ek Hefliu akh Nyccip#1521%# ex ev kgx }gvve`ci xg pijifx
xbi kycc# tbefb eo}ceiv xbi a`vikfi gn a hpenx ek xbev }pgfivv+ Xbi ekngpoaxegk xbax ?
= "npgo xbi 6 xivx% ev ir}cgexih# xbyv# ti ivxeoaxi \8+19+0_ akh facfycaxi xbi 1# vii
Xa`ci 8+18+ Xbi ~acyiv gn 1 api `icgt xbi fpexefac ~acyi gn 8+95 "g`xaekih npgo
Xa`ci E^ ek Hefliu akh Nyccip#1521% ciahekd xg a hifevegk xg kgx pijifx xbi kycc+
Gyp fgkfcyvegk npgo xbev viqyikfi gn xivxv ev xbax xbi ~avx oajgpexu gn gyp
xeoi vipeiv fgkxaekv a ykex pggx# `yx kgx a hixipoekevxef xpikh kgp a hpenx xipo+ Ba~ekd
avfipxaekih xbax xbi vipeiv ev kgx E"=%# ti fgknepo xbax xbi vipeiv kiihv xg `i
hennipikfih gkcu gkfi xg afbei~i vxaxegkapexu "e+i+ ev ak E"1% ~apea`ci% Xbev piqyepiv
nypxbip hennipikfekd+ Xbyv# ti `idek texb xbi pidpivvegk:
Vx? Vx/1 , , x , Vx/1, ix+
Xbi vxaxevxefv gn xbiAHNngp xbi nepvx hennipikfiv api pi}gpxih ek xbi cavx xtg fgcyokv
ek Xa`ci 8+18+ Xbi pivycxv fgknepo xbi fgkfcyvegk xbax xbi ~avx oajgpexu gn gyp vbapi
}pefi xeoi vipeiv ev E"1%+ Ngp xbi nekakfi vifxgp# "V4%# tbipi ti pijifx xbi jgekx kycc
xbax " # # % ? " # =# 1%# vekfi xbi 6 vxaxevxef ax 18+09 ev oyfb bedbip xbak xbi ne~i
}ipfikx fpexefac ~acyi gn >+09+ Ek vyfb a favi# ti lkgt xbax iexbip \ = akh ?1_# \
?= akh 1_# gp \ = akh 1_+ Xbipingpi# ti xivx ngp ?1# yvekd xbi x/vxaxevxef gn
8+80 g`xaekih npgo ivxeoaxekd \8+19+6_# texb xbi fpexefac ~acyi gn 1+5> xalik npgo xbi
vxakhaph kgpoac xa`civ+ Xbyv# ti pijifx xbi kycc xbax ? 1# xbik ti ba~i xtg
}gvve`ecexeiv: iexbip \ ? = akh 1_# gp \ = akh 1_+ Ek iexbip favi ev kgx 1#
xbipi ev kg ykex pggx# akh fgk~ikxegkac xivx }pgfihypiv fak `i yvih+ Xbyv# ti fappu
gyx a x/xivx ngp xbi kycc xbax ? =# `yx ti fgych kgx pijifx xbev bu}gxbivev vekfi xbi x/
vxaxevxef gn /1+40 ev civv xbak xbi fpexefac ~acyi gn 1+5> xalik npgo xbi vxakhaph kgpoac
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
7/13
Zalapea V+D+Bidazu: Idu}xeak Vxgfl Oaplix Innefeikfu: Ak Ekexeac ]y`cef Gnnipekd ]ipv}ifxe~i# ]b+H+
xbivev# Vxpaxbfcuhi Yke~ipvexu# Y+L+#1552
1>6
xa`civ+ Bipi# ti oau hifehi xbax xbi vipeiv ev vxaxegkapu texb kg cekiap xpikh# `yx
}gvve`cu texb ak ekxipfi}x+
Yvekd a fgk~ikxegkac x/xivx ek gphip xg xivx tbixbip xbi ekxipfi}x ev zipg# ti
nekh x/vxaxevxef gn /8+>= pijifxekd xbi kycc akh eo}cuekd a hpenx ek V4+ Gyp fgkfcyvegk#
xbipingpi# ev xbax xbi vbapi }pefi xeoi vipeiv gn nekakfi vifxgp "V4% ev vxaxegkapu texb kg
cekiap xpikh# `yx texb a kgk/zipg hpenx+ Ki~ipxbicivv# `avih gk xbi pivycxv gn xbi ~avx
oajgpexu gn gyp xeoi vipeiv# ti api ikfgypadih xg }pgfiih xg gyp fgekxidpaxegk
akacuvev+
Ngp fgo}cixikivv# av ticc av ngp fgo}apaxe~i }yp}gviv# ti yvi xbi Ikdci/
Dpakdip xtg/vxi} oixbghgcgdu ek ahhexegk xg xbi oycxe~apeaxi Jgbakvik ivxeoaxiv+
Xa`ci 8+19 }pivikxv vgoi veo}ci `e~apeaxi fgekxidpaxegk pivycxv `ixtiik gyp 1=
ekhefiv gn vxgfl }pefiv akh xbi Dikipac Ekhir+ Xbi nekhekdv ek xbev xa`ci vyddivx xbax
xbi vbapi }pefiv gn gkcu gki gn xbi ekhefiv ek xbi vao}ci oau `i fgekxidpaxih texb xbi
Dikipac Ekhir gn xbi Idu}xeak Vxgfl Oaplix< V5 bav vxaxevxefaccu vedkenefakx Hefliu/
Nyccip `avih vxaxevxefv yvekd xbi haecu }pefi haxa+ Xbipingpi# xbi vxgfl oaplix hgiv
a}}iap xg `i innefeikx ngp xbi ~avx oajgpexu gn xbi vao}ci vekfi kg }pihefxa`ecexu
viiov xg irevx `ixtiik xbi Dikipac oaplix ekhir akh xbi }pefiv gn xbivi }pefi
ekhefiv+
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
8/13
Zalapea V+D+Bidazu: Idu}xeak Vxgfl Oaplix Innefeikfu: Ak Ekexeac ]y`cef Gnnipekd ]ipv}ifxe~i# ]b+H+
xbivev# Vxpaxbfcuhi Yke~ipvexu# Y+L+#1552
1>8
Xa`ci 8/18 Ykex Pggx Xivxv ngp xbi Haecu ]pefiv Haxa
Ekxipfi}
x
Xpikh Zx/1 Zx/1 Zx/0 Zx/6 6 0 1 x" AHN% ngp xbi nepvx
hennipikfi
texb xpikh texbgyx xpikh
e+ Z ? V1 =+=0 =+===8 /=+==1 =+==8 =+=1 =+=6 1+252 0+98 /15** /15**
ee+ x/vxax+ "=+=9% "1+82% "/=+00% "=+11% "=+64% "=+25%
eee Z ? V1
/=+61 =+== =+== =+=1 =+=6 0+40
e~+ x/vxax+ "/=+52% "1+04% "=+=2% "=+66% "=+29%
e+ Z ? V0 =+5> /=+== /=+=1 =+== =+== =+== 1+8> 1+50 /15+6** / 0=**
ee+ x/vxax+ "1+2=% "/1+86% "/1+20% "=+1=% "=+1=% "=+1=%
eee Z ? V0 =+6= /=+== =+== =+== =+== 1+14
e~+ x/vxax+ "1+18% "/1+1>% "=+==% "=+==% "=+==%
e+ Z ? V6 =+>2 =+== /=+=1 =+== =+81 =+=8 1+85 0+=6 /10+9** /10+8**
ee+ x/vxax+ "0+==% "1+02% "/1+2=% "=+=8% "10+1=% "1+=>%
eee Z ? ]6 =+82 /=+== =+== =+8= =+=8 1+80
e~+ x/vxax+ "1+95% "/1+68% "=+=1% "10+=8% "=+54%
e+ Z ? ]8 1+59 =+== /=+=1 =+18 =+=9 =+1= 0+44 0+56 /1>+4** /1>+4**
ee+ x/vxax+ "0+6>% "1+09% "/0+16% "6+42% "1+04% "0+46%
eee Z ? ]8 1+8> /=+== =+18 =+=9 =+1= 6+6>
e~+ x/vxax+ "0+==% "/1+48% "6+49% "1+06% "0+>2%
e+ Z ? ]9 =+56 =+== /=+=1 =+== =+== =+== 1+8> 0+== /15+6** /15+6**
ee+ x/vxax+ "1+5=% "1+80% "/1+55% "=+10% "=+10% "=+10%
eee Z ? ]9 =+4= /=+=1 =+== =+== =+== 1+15
e~+ x/vxax+ "1+90% "/1+82% "=+1=% "=+1=% "=+1=%
e+ Z ? ]> =+>1 =+== /=+=1 =+== =+== =+=1 1+20 1+85 /15+6** /15+6**
ee+ x/vxax+ "1+>2% "1+5=% "/1+40% "=+=6% "=+=9% "=+05%
eee Z ? ]> =+10 /=+== =+== =+== =+=1 =+50
e~+ x/vxax+ "=+84% "/=+05% "=+==% "=+=1% "=+0>%
e+ Z ? V4 /0+65 /=+== =+=0 =+=5 /=+=5 /=+== 18+09** 1=+4>** /12+4** /12+0**
ee+ x/vxax+ "/8+>=% "/1+40% "8+80%** "0+84% "/0+64% "/=+16%
eee Z ? ]4 /1+5= =+=1 =+1= /=+=2 =+== 15+29
e~+ x/vxax+ "/8+65% "9+65%** "0+41% "/0+12% "=+=2%e+ Z ? ]2 =+1= =+== /=+== =+=5 =+00 =+10 1+85 =+16 /18** /16+5**
ee+ x/vxax+ "=+61% "1+61% "/=+81=% "0+99% ">+00% "6+81%
eee Z ? ]2 /=+=0 =+== =+=5 =+00 =+10 1+62
e~+ x/vxax+ "/=+=4% "=+61% "0+9>% ">+00% "6+65%
e+ Z ? ]5 =+50 =+== /=+== =+1> =+06 =+1= 0+=2 1+14 /10+9** /10+9**
ee+ x/vxax+ "1+82% "=+25% "/1+0>% "8+1>% ">+15% "0+>0%
eee Z ? ]5 =+44 /=+== =+1> =+06 =+1= 0+46
e~+ x/vxax+ "1+05% "/=+56% "8+1>% ">+14% "0+>=%
e+ Z ? ]1= /=+98 =+== =+== =+19 =+=0 =+=1 9+81 1+=9 /69+8** /69+6**
ee+ x/vxax+ "/1+88% "=+09% "1+65% "8+1=% "1+10% "1+0=%
eee Z ? ]1= /=+>1 =+=1 =+19 =+=0 =+=1 0+9>
e~+ x/vxax+ "/0+09% "0+>0% "8+1=% "1+10% "1+159% 2+1=e+ Z ? ]11 =+65 =+== /=+== =+12 =+01 =+18 0+10 =+4> /10+9** /10+9**
ee+ x/vxax+ "1+11% "=+22% "/=+58% "9+==% "9+22% "6+5=%
eee Z ? ]11 =+04 /=+== =+12 =+01 =+18 0+45
e~+ x/vxax+ "=+26% "/=+90% "9+==% "9+24% "6+22%
Ngp iafb pidpivvegk iqyaxegk xbi hi}ikhikx ~apea`ci ev Z+ Z ev hinekih ek xbi vifgkh fgcyok+ Xbi ivxeoaxegk }ipegh ev 1558 Jak+#
1vx xg 155> Hif+ 61vx+ ** ekhefaxiv a pijifxegk gn xbi kycc ax xbi 59 ) ci~ic+ Cekiv "E% akh "eee% pi}gpx xbi ivxeoaxiv gn iqyaxegkv
8+0>+6 akh 8+0>+0# piv}ifxe~icu+
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
9/13
Zalapea V+D+Bidazu: Idu}xeak Vxgfl Oaplix Innefeikfu: Ak Ekexeac ]y`cef Gnnipekd ]ipv}ifxe~i# ]b+H+
xbivev# Vxpaxbfcuhi Yke~ipvexu# Y+L+#1552
1>9
Xa`ci 8/19 Xtg Vxi} Fgekxidpaxegk Xivx: Vifxgp Vbapi ]pefiv akh xbi Dikipac Ekhir "V11%
]pefi Ekhefiv HT HN AHN"C%
V1 =+==4 /=+882 /=+>=="8%
V0 =+==> /1+119 /1+158">%
V6 =+==6 /=+>56 /1+158"0%
V8 =+=68 /0+>8= /0+901"4%
V9 =+=1> /0+>8= /0+901"4%
V> =+==8 /=+451 /=+505"9%V4 =+==9 0+640 1+588"1%
V2 =+=16 /1+820 /0+106"0%V5 =+=>5 /6+440* /6+104"1%
V1= =+118 /=+0=0 /=+015"0%
Kgxi: Xbi vxaxevxefv pi}gpxih api acc npgo `e~apeaxi pidpivvegkv fgkvevxekd gn Hi}ikhikx ^apea`ci "vifxgp vbapi }pefiv%
akh xbi Dikipac Ekhir+ HT# HN# akhAHNhikgxi# piv}ifxe~icu# Hyp`ek Taxvgk# Hefliu Nyccip akh Aydoikxih HefliuNyccip vxaxevxefv gk xbi pivehyacv dikipaxih npgo xbi fgekxidpaxekd iqyaxegk+ Xbi ne~i }ipfikx fpexefac ~acyiv ngp xbivi
vxaxevxefv api av ngccgtv:HT?=+62>+
Xa`ci 8/1> Xtg Vxi} Oycxe}ci Fgekxidpaxegk: Dikipac Ekhir avxbi Hi}ikhikx ^apea`ci
1
Kg+ gn Ekhefiv HT HN AHN"C%
1= =+>64 /19+1=8** /1=+=48**"1%
Kgxi: Xbi vxaxevxef pi}gpxih api ngp xbi oycxe}ci pidpivvegk texb xbi Dikipac
Ekhir av xbi hi}ikhikx ~apea`ci+ Xbi ne~i }ipfikx fpexefac ~acyiv api: HN ? /8+82 api gkcu vyddivxe~i gn xbi cgkd/pyk picaxegkvbe}v+ Yvekd xbi Jgbakvik
oycxe~apeaxi a}}pgafb# ti iraoeki vyfb picaxegkvbe}v `icgt+ Xbi oycxe~apeaxi
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
10/13
Zalapea V+D+Bidazu: Idu}xeak Vxgfl Oaplix Innefeikfu: Ak Ekexeac ]y`cef Gnnipekd ]ipv}ifxe~i# ]b+H+
xbivev# Vxpaxbfcuhi Yke~ipvexu# Y+L+#1552
1>>
Jgbakvik ivxeoaxiv tipi facfycaxih: "1% yvekd acc 11 }pefi vipeiv# akh "0% yvekd gkcu
1= }pefi vipeiv akh goexxekd xbi gki }gxikxeaccu E"=% ~apea`ci V4 +
Xa`civ 8/14 akh 8/12 }pivikx gyp ivxeoaxegk gn iqyaxegkv "8+61% akh "8+61%
ngp xbi hennipikx ekhefiv+ Xa`ci 8/14 vbgtv xbax# gk xbi `aviv gnCP1# xbi xpafi xivx# ti
fak pijifx xbi kycc bu}gxbivev xbax xbipi ev a zipg fgekxidpaxekd ~ifxgp tbik ti yvi acc
}pefi vipeiv+ Vy}}gpx gn xbev i~ehikfi gn fgekxidpaxegk oau acvg `i ahhyfih npgo xbi
CP0 vxaxevxef# tbipi xbipi tgych a}}iap xg `i y} xg xtg fgekxidpaxekd ~ifxgpv+
Goexxekd xbi V4# xa`ci 8/12 eccyvxpaxiv xbaxCP1# xbi xpafi xivx# hiogkvxpaxiv y} xg keki
fgekxidpaxekd ~ifxgpv+ Xbev i~ehikfi gn fgekxidpaxegk oau acvg `i vy}}gpxih npgo xbi
CP0vxaxevxef# tbipi xbipi tgych a}}iap xg `i y} xg xbpii fgekxidpaxekd ~ifxgpv+
Xbyv# xbi a`g~i pivycxv oau `i vyooapevih av ekhefaxekd a vxpgkd pijifxegk gn
xbi kycc bu}gxbivev gn vxaxef innefeikfu+ Ek ir}caekekd xbev fgkfcyvegk# ti pinip xg
OafHgkach akh ]gtip "1556% tbg ba~i yvih xbi xipo vxaxef innefeikfu xg hikgxi xbi
kycc gn fgkvxakx ir}ifxih piac pixypkv akh paxegkac ekngpoaxegk }pgfivvekd+ Gk xbi
`avev gn veo}ci `e~apeaxi fgekxidpaxegk xivxv ex tav hiogkvxpaxih xbax xbi ~avx
oajgpexu gn gyp vbapi }pefi ekhefiv heh kgx fgekxidpaxi texb xbi Dikipac Ekhir ek xbi
Idu}xeak Vxgfl Oaplix+ Xbev tgych viio xg `i a vxpgkd nekhekd# de~ik xbi innefeikfu
hinekexegk gn OafHgkach akh ]gtip "1556%+ Xbyv# ex a}}iapv xg ekhefaxi `gxb paxegkac
ekngpoaxegk }pgfivvekd akh xbi a`vikfi gn eo}gpxakx xeoi/~apuekd icioikxv ek
iqyece`peyo pixypkv+ Bgti~ip# xbev nekhekd fgkncefxv texb gyp oycxe~apeaxi ivxeoaxiv
npgo `gxb xbi Ikdci/Dpakdip xtg vxi} xivxv akh Jgbakvik fgekxidpaxegk xivxv tbipi a
vy`vxakxeaxi aogykx gn ekinnefeikfu tav hgfyoikxih+ Xbev fgkfcyvegk adpiiv texb
OafHgkach akh ]gtip "1556% tbg pi}gpxih a vxpgkd aogykx gn ekinnefeikfu ngp a
vao}ci gn 8= fgo}akeiv g~ip xbi }ipegh Jakyapu 15>5 xg Hifio`ip 1551+ Ek gphip xg
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
11/13
Zalapea V+D+Bidazu: Idu}xeak Vxgfl Oaplix Innefeikfu: Ak Ekexeac ]y`cef Gnnipekd ]ipv}ifxe~i# ]b+H+
xbivev# Vxpaxbfcuhi Yke~ipvexu# Y+L+#1552
1>4
ekxip}pix xbev i~ehikfi gn fgekxidpaxegk# OafHgkach akh ]gtip "1556% }pg~ehi ak
ao`exegyv }pg}gvac ngp xbi adikha gn nyxypi piviapfb ekxg xbi `iba~egyp gn vxgfl
}pefiv+ Xbiu oikxegkih xbax ex oau iexbip pincifx xbi fgkviqyikfiv gn kgevi xpahekd gp
~apea`ci iqyece`peyo ir}ifxih pixypkv+ Xbiu vyddivx xbax a fgkvxpyfxih vyp~iu haxa
`avi gk adikxv vxgfl }pefi ir}ifxaxegkv oau pivgc~i tbefb gn xbi xtg innifxv
hgoekaxiv+
Xa`ci 8/14 Oycxe~apeaxi Fgekxidpaxegk Xivxv: Jgbakvik Oareoyo Celicebggh
]pgfihypi "Acc ^apea`civ%
/OAR CP0 Xpafi Xivx CP1
B= vxaxevxef 5= ) F^ o B= vxaxevxef 5=) F^ o
p = >6+24 86+82 11 p = 02>+64 040+=6 11
p 1 84+86 80+40 1= p 1 000+85 002+99 1=p 0 80+4 69+28 5 p 0 149+=> 129+26 5
p 6 61+> 60+0> 2 p 6 160+6> 185+55 2
p 8 6=+15 02+6> 4 p 8 1==+4> 114+46 4
p 9 00+12 08+>6 > p 9 4=+94 25+64 >
p > 14+56 0=+5 9 p > 82+65 >8+48 9
p 4 11+28 14+19 8 p 4 6=+8> 86+28 8
p 2 5+65 16+65 6 p 2 12+>0 0>+4 6
p 5 2+21 1=+> 0 p 5 5+06 16+61 0
p 1= =+80 0+41 1 p 1= =+80 0+41 1
Kgxi: xbi oekeoyo kyo`ip gn fgekxidpaxekd ~ifxgpv ev hikgxih `u p+ Xbi ~ifxgp ayxgpidpivvegk "ek
ci~icv% fgkxaekih 11 cadv akh fgkvxakx+ Xbi ~apea`ci o ? } /p# tbipi } hikgxiv xbi kyo`ip gn
~apea`civ+ Ykhipcekiv hikgxi vedkenefakfi ax xbi xik }ipfikx ci~ic "yvekd FAXV ek PAXV }afladi# ti
fgych kgx v}ifenu xbi ne~i }pivikx ci~ic+ Bgti~ip# ti fgych dix 9) ci~ic `u Oefpgnextbefb hgivkgx de~i yvi xbi }gvve`ecexu xg xivx `iugkh 9 cadv fgkxaekih ek xbi ~ifxgp ayxgpidpivvegk%+
Xa`ci 8/12 Oycxe~apeaxi Fgekxidpaxegk Xivxv: Jgbakvik Oareoyo Celicebggh
]pgfihypi "Irfcyhekd V4%
/OAR CP0 Xpafi Xivx CP1
B= vxaxevxef 5= ) F^ o B= vxaxevxef 5=) F^ o
p = 82+80 80+40 1= p = 002+99 012+=> 1=
p 1 62+06 69+28 5 p 1 129+26 1>5+>8 5
p 0 60+52 60+0> 2 p 0 185+55 161+81 2
p 6 05+56 02+6> 4 p 6 114+46 52+80 4
p 8 00+16 08+>6 > p 8 25+64 >2+85 >
p 9 14+5> 0=+5 9 p 9 >8+48 8>+64 9p > 16+49 14+19 8 p > 86+28 02+81 8
p 4 2+45 16+65 6 p 4 0>+4 18+>> 6
p 2 9+20 1=+> 0 p 2 16+61 9+24 0
p 5 =+=9 0+41 1 p 5 0+41 =+=9 1
Kgxi: Xbi ~ifxgp ayxgpidpivvegk "ek hennipikfiv% fgkxaekih 11 cadv akh fgkvxakx+
8+9 FGKFCYVEGK
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
12/13
Zalapea V+D+Bidazu: Idu}xeak Vxgfl Oaplix Innefeikfu: Ak Ekexeac ]y`cef Gnnipekd ]ipv}ifxe~i# ]b+H+
xbivev# Vxpaxbfcuhi Yke~ipvexu# Y+L+#1552
1>2
Ek xbev fba}xip ti ba~i io}epefaccu iraoekih vgoi xeoi vipeiv }pg}ipxeiv akh
vxakhaph avvyo}xegkv gn vxgfl pixypkv yvekd 6 uiapv gn haecu haxa gk xbi ici~ik
Idu}xeak vxgfl pixypkv+ Vi~ipac `avef xivxv# e+i+ 0 # xbi Vxyhikxezih pakdi# Japqyi/
@ipa vxaxevxef# acc ekhefaxi xbax kgki gn xbi ekhefiv bav a kgpoaccu hevxpe`yxih pixypk+
Acxbgydb xbev pivycx jyvxeneiv xbi nafx xbax haecu vxgfl pixypkv api kgx kgpoaccu
hevxpe`yxih# xbi pivycxv gn xbi ogpi }gtipnyc xivx# e+i+ Lgcogdpg~/Voepkg~ xivx# hg kgx
fgknepo xbev fgkfcyvegk+
Hyi xg xbi irevxikfi gn ci}xglypxef hevxpe`yxegk ek gyp xeoi vipeiv# ti yvi a
DAPFB oghic ek gphip xg hivfpe`i xbi }pgfivv gn vxgfl pixypkv ek xbi Idu}xeak
nekakfeac oaplix+ Xbi nekhekdv hiogkvxpaxi xbax xbi ~apeakfi gn Idu}xeak vxgfl
pixypkv ev xeoi/~apuekd ek xbi DAPFB fgkxirx+ Ti acvg ek~ivxedaxi xbi
ekxidpaxihkivv gn xbi ~gcaxecexu gn avvix pixypkv+ Xbi io}epefac pivycxv ekhefaxi xbax xbi
~gcaxecexu gn Idu}xeak vxgfl pixypkv ev ekxidpaxih+
Xg xivx xbi vxaxegkapexu gn xbi Idu}xeak vxgfl pixypkv# nepvx# ykex pggx xivxv
hi~icg}ih `u Hefliu akh Nyccip "1545% api a}}ceih xg xbivi vipeiv+ Xbik# ti fgkhyfx
xbi ~apeakfi/paxeg xivx gn Cg akh OafLekcau+ Xbi pivycxv }pg~ehi vy}}gpx xbax xbipi ev
a picaxe~icu vedkenefakx vxaxegkapu fgo}gkikx# tbefb vyddivxv xbi }pivikfi gn
vyffivvnyc voggxbekd ngp xbivi vipeiv+ Ex ev vyddivxih xbax voggxbekd oau pihyfi
~gcaxecexu gn nekakfeac vipeiv `yx irbe`ex vedkenefakx vipeac fgppicaxegk+ Xbi caxxip tav
ngykh xg `i kidaxe~i# vyddivxekd xbax xbi vxgfl pixypkv ngccgt a oiak pi~ipxekd
}pgfivv+ Xbi eo}gpxakx fgkfcyvegk gn xbev i~ehikfi ev xbax xbipi api fgo}gkikxv ek
}avx }pefiv xbax fak `i yvih xg }pihefx nyxypi }pefiv< xbipingpi# }pefiv hg kgx ngccgt
pakhgo taclv+ Nypxbipogpi# xbi pakhgo tacl bu}gxbivev# tbeci `iekd a v}ifeac favi
gn a oapxekdaci# ev kgx iqye~acikx xg oaplix innefeikfu+
8/8/2019 COINTEGRATION AND EGYPTIAN STOCK MARKET EFFICIENCY
13/13
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